Out-of-sample forecast tests robust to the choice of window size
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- dc.contributor.author Rossi, Barbara, 1971-ca
- dc.contributor.author Inoue, Atsushica
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:02Z
- dc.date.available 2017-07-26T10:50:02Z
- dc.date.issued 2012-04-01
- dc.date.modified 2017-07-23T02:15:59Z
- dc.description.abstract This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests proposed in the literature may lack the power to detect predictive ability and might be subject to data snooping across different window sizes if used repeatedly. An empirical application shows the usefulness of the methodologies for evaluating exchange rate models' forecasting ability.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1404
- dc.identifier.citation Journal of Business and Economic Statistics, 30 (3), 432-453, 2012
- dc.identifier.uri http://hdl.handle.net/10230/21323
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1404
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword predictive ability testing
- dc.subject.keyword forecast evaluation
- dc.subject.keyword estimation window.
- dc.subject.keyword Macroeconomics and International Economics
- dc.subject.keyword Statistics, Econometrics and Quantitative Methods
- dc.title Out-of-sample forecast tests robust to the choice of window sizeca
- dc.type info:eu-repo/semantics/workingPaper